Giulio Rossetti

@amedandr @halperentosun @brunoss42 @immanuelfeld @ccardonaandrade @AruhanRS @nurlan_lv @EdoardoTolva @gokul_gr @ozaneakbas @ricc_matt Congrats Ame! Very well deserved

I thank my friends/colleagues at Warwick ("extended" office banda: @Gi_R94 @halperentosun @brunoss42 Carolina Andrea See-Yu @immanuelfeld @ccardonaandrade @AruhanRS @nurlan_lv Odra + @EdoardoTolva @gokul_gr @ozaneakbas @ricc_matt + really long list!) 💜

Grateful for all the support from my advisors (Eric Cesare @ricco_giovanni), and all the outstanding faculty at @warwickecon (particularly the metrics group). plus much lucky for the exceptional viva committee (Bertille and @aoziparis + Pablo) 🙏

🚨 JMP alert Worried about the exogeneity of a macro structural shock with respect to omitted variables? ⚠️Testing the correlation between past of omitted variables and present of shocks might mislead conclusions. ↪️ Add a correction term! 🧵 #EconTwitter #EconJobMarket 1/11

Amedeo Andriollo's (@amedandr) JMP proposes a test for exogeneity of macroeconomic structural shocks, robust to omitted variable dynamics. Do shocks to uncertainty about economic policy leads to higher/lower future inflation? To find out: buff.ly/3V1IE8o #EconJobMarket

What have been the underlying drivers of a potential "replication crisis" in corporate bond asset pricing research over the last decade? Our updated working paper, papers.ssrn.com/sol3/papers.cf…, documents some root causes: (1) Not adjusting signals for potential microstructure noise (bonds trade OTC) (2) Ex-post trimming/winsorization of t+1 (future) bond returns (i.e., kicking out data that destroys strategy profitability ex-post) The entirety of our paper can be replicated with our open-source data on openbondassetpricing.com, the WRDS Bond database, and the accompanying portfolio/factor construction software package PyBondLab (pypi.org/project/PyBond…). The PyBondLab package also contains brand new functionality for: - Computing portfolio turnover - Implementing various cost mitigation methods: staggered holding periods and buy-hold spreads (see Novy-Marx & Velikov, 2016)

Check out our new Python package developed with @dickerson_phd -- great working with him! Have a look at pypi.org/project/PyBond… or see the GitHub repo github.com/GiulioRossetti…. More info: openbondassetpricing.com/data-uncertain…. Any feedback is more than welcome!

👉🏼 CALL for papers! The 4th SASCA PhD Conference in #Economics 2024 will take place in #Venice (Sept 23-24). Submissions in any field in Economics & Finance are welcome by June 15th. Check out the keynote speakers: sites.google.com/view/sassari-v… @CaFoscari @unissTweet @DipEcoUnive

This and other new insights in the latest version of our paper! Check it out here papers.ssrn.com/sol3/papers.cf…

(3) The majority of our code and data are publicly available on openbondassetpricing.com

(2) We have several follow-up papers including research on microstructure bias in corporate bond asset pricing (papers.ssrn.com/sol3/papers.cf… with @Gi_R94) and where we estimate over 500 trillion possible models in a Bayesian framework (papers.ssrn.com/sol3/papers.cf… with @Chris_Julliard )

(1) I recently wrote a paper exploring asset pricing in corporate bonds with Cesare Robotti and Philippe Mueller. It has been published in the @J_Fin_Economics and was made the Editor’s Choice for November 2023. The published article is available here: sciencedirect.com/science/articl…

Why are economists upset about *causality*

Il mio primo, e probabilmente ultimo, commento positivo sul governo. Non c'è Tremonti.

@andrepaltry Spiegazione di contango e discussione su nat gas .. mancavano solo i futures sul succo di arancia ed era un tuffo nel passato a TOMA 2016 a uniud 😂

Grazie, bella chiacchierata davvero

Thread on "In Search of the Origins of Financial Fluctuations" by @xgabaix and @rkoijen. One of the most exciting agendas in asset pricing. See video (youtube.com/watch?v=OQnHos…). They estimate $1b investment in market -> $10b increase in price. How? 1/

@b0rk @holtbt also gave a tutorial first on how to create container from scratch before introducing docker and it was really amazing like how this tweet demystify that container isn't that scary blackbox . btholt.github.io/complete-intro…

My lunch breaks recently have been in the company of Yaser Abu Mostafa's "learning from data" lectures. What an amazing teacher. Ht @economeager youtube.com/playlist?list=…

Prima o poi doveva arrivare questo giorno. E’ stato un percorso lungo, ma ho preso la mia decisione. E mentre aspetto che mi chiamino, seduto nello spogliatoio, la mente corre a quando tutto è iniziato. A quel “soldo di cacio” che crebbe mangiando gnocchi, lasagne e salsicce”.

My hero

Mamba Forever.

Dear Kobe: